Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: the RiskMetrics...

In this paper, we discuss the parameter estimation for a k-factor generalized long memory processwith conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of...

In this article, we investigate conditional mean and variance forecasts using a dynamic model following a k-factor GIGARCH process. We are particularly interested in calculating the conditional variance of the prediction error. We apply this method to electricity prices and test spot prices...

Foreign exchange rate plays an important role in international finance. This paper examines unit roots and the long range dependence of 23 foreign exchange rates using Robinson's (1994) test, which is one of the most efficient tests when testing fractional orders of seasonal/cyclical long memory...

We propose a novel methodology for forecasting chaotic systems which is based on exploiting the information conveyed by the local Lyapunov ex- ponent of a system. We show how our methodology can improve forecast- ing within the attractor and illustrate our results on the Lorenz system.

This paper presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison with simple...

In this paper, we recall some concepts on seasonal long memory, we review the diverse fractionally integrated seasonal time series models and we discuss their statistical properties. Then, we compare the empirical performances of those models on euro area economic data and we show that...

In this paper, we introduce a new approach to estimate the subjective distribution of the future short rate from the historical dynamics of futures, based on a model generated by a Normal Inverse Gaussian distribution, with dynamical parameters. The model displays time varying conditional...

Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they suffer two intricate drawbacks (1) they are relative to a perr's performance and (2) the best score is generally assumed to correspond to a "good" portfolio allocation, with no...

We consider a threshold time series model in order to take into account some stylized facts of the business cycle such as asymmetries in the phases. Our aim is to point out some thresholds under (over) which a signal of turning point could be given. First, we introduce the various threshold...